There as been on-going debate and empirical investigation in the literature as to whether or not the term structure contains information about future inflation. In this paper, the authors present new evidence about the information in the term structure of interest rates about future inflation in...

First reported monthly and quarterly time series data on nine macroeconomic variables from 1960-1993 are given. Features of this so called "unrevised" or "first reported data" are discussed, and the data is compared with standard "fully revised" data using Granger causality tests.

In this paper we argue that even if a dynamic relationship can be well described by a deterministic system, retrieving this relationship from an empirical time series has to take into account some, although possiblu very small measurement error in the observations. Therefore, measuring the...